Background Obesity has been shown to be associated with depression and it has been suggested that higher body mass index (BMI) increases the risk of depression and other common mental disorders. However, the causal relationship remains unclear and Mendelian randomisation, a form of instrumental variable analysis, has recently been employed to attempt to resolve this issue. Aims To investigate whether higher BMI increases the risk of major depression. Method Two instrumental variable analyses were conducted to test the causal relationship between obesity and major depression in RADIANT, a large case-control study of major depression. We used a single nucleotide polymorphism (SNP) in FTO and a genetic risk score (GRS) based on 32 SNPs with well-established associations with BMI. Results Linear regression analysis, as expected, showed that individuals carrying more risk alleles of FTO or having higher score of GRS had a higher BMI. Probit regression suggested that higher BMI is associated with increased risk of major depression. However, our two instrumental variable analyses did not support a causal relationship between higher BMI and major depression (FTO genotype: coefficient 70.03, 95% CI 70.18 to 0.13, P = 0.73; GRS: coefficient 70.02, 95% CI 70.11 to 0.07, P = 0.62). Conclusions Our instrumental variable analyses did not support a causal relationship between higher BMI and major depression. The positive associations of higher BMI with major depression in probit regression analyses might be explained by reverse causality and/or residual confounding.